I tested printing a FGS from the Report Definition Screen by selecting the Printer radio button in the Report Destination frame, and from the Screen Preview by clicking the [Printer] button I also created a PDF by selecting the Save to: radio button, choosing Adobe Reader (PDF) in File type, and specifying a file name additionally I was able to create a .rtf and .doc file all without problem.
OS X Controls the hardware: Can you print from a Mac program?
If YES: Can you print from a Windows program other than TMG?
On my system testing reveals that I cannot control the Windows Default printer in the Windows Control Panel > Devices and Printers, however by activating Mac System Preferences > Printers and Scanners and setting the default printer it immediately changes the default printer in Windows.
You might want to reinstall Parallels Tools - with the VM running Actions > Reinstall Parallels Tools, Parallels Tools facilitates much of the communication between the guest OS and OS X after reinstalling Parallels Tools you must restart Windows.
Finally you may want to try resetting the report to the defaults [Reset Defaults] button on the Report Definition Screen.
MacBook Pro (Retina, 15-inch, Mid 2014)
OS X: 10.10.4 (14E46)
Parallels: Version 10.2.2 (29105)
Windows 8.1 Fully Updated